“能力”或“运气”:中国私募证券投资基金的多维择时与价值

“Skill” versus “Luck”:Uncovering Multi-dimensional Timing Skills and Economic Value of China’s Private Investment Funds

本文在中国私募证券投资基金个体层面考察其多维择时能力。研究发现,私募基金对市场走势、流动性和波动性的择时能力存在截面分化,且在极端市场环境中更显著。择时并非仅源于运气,更多源于经验积累和基金家族内部的信息共享。私募基金对市场走势和流动性的择时是阿尔法的重要来源,对市场波动性的择时缓解了清盘风险。私募基金在风险承担上异于传统机构投资者,对于资本市场参与主体结构的优化以及系统性风险的管控均具有重要意义。

The timing ability of private investment funds in China is studied in this paper.Private funds exhibit significant cross-sectional variations in market-,liquidity-,and volatility-timing abilities and such variations are more pronounced in extreme market conditions.Timing abilities reflect skills of experienced managers and information sharing within fund families,as opposed to luck.Different types of timing abilities contribute differently to performance:market-and liquidity-timing improves funds’ alphas while volatility-timing reduces funds’ failure risk.Overall,private funds differ from traditional institutional investors in risk-taking;their presence improves participant diversity and contributes to the management of systemic risk in the financial system.